An Optimal Bandwidth For Difference-in-Difference Estimation with a Continuous Treatment and an Heterogeneous Adoption Design
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23 novembre 2022
- handle: 10670/1.hgp3me
- hal: hal-03873937
http://creativecommons.org/licenses/by-nc/ , info:eu-repo/semantics/OpenAccess
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Clément de Chaisemartin et al., « An Optimal Bandwidth For Difference-in-Difference Estimation with a Continuous Treatment and an Heterogeneous Adoption Design », Archive ouverte de Sciences Po (SPIRE), ID : 10670/1.hgp3me
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We propose a difference-in-difference estimator with a continuous treatment. We consider an heterogeneous adoption design where no unit is treated at period one, all units receive a strictly positive treatment dose at period two, and there are units with a treatment dose close to zero at period two. Our estimator uses "quasi-stayers", namely units with a period-two treatment below a bandwidth, as a control group to infer the counterfactual outcome evolution without treatment. We propose an optimal bandwidth that minimizes an asymptotic approximation of the estimator's mean-squared-error.